Immortal (Complete any other level than the first one with no deaths on difficulty Insane)

I tryed second level with ex-mode and was crushed on third or fourth checkpoint where its harder then last boss. I can play 3. time thru game and decide which level is easiest, but if you guys know, let me know .

Also: If you die after first checkpoint is it fail? You have to load first checkpoint on that level or start new game? Or is it ok to let game auto load last (first of level) checkpoint? Is it doable on ex-mode?